Intraday return predictability in cryptocurrency perpetual futures

R2 Cryptocurrency perpetual futures account for 93% of cryptocurrency trading volume, with daily turnover exceeding $100 billion, yet their intraday return predictability remains unexplored: a notable gap given extensive evidence of predictable daily returns in spot markets. We investigate whether this inefficiency extends to perpetual futures at 1-, 4-, and 8-hour horizons using a broad set of machine learning methods. Out-of-sample R2 statistics are uniformly negative: neither linear models nor flexible nonlinear methods outperform a historical-mean benchmark. Trading strategies based on model forecasts underperform passive buy-and-hold, and once realistic transaction costs are incorporated, virtually all active strategies deliver negative risk-adjusted returns. These results suggest a resolution to the cryptocurrency efficiency puzzle: while spot markets display predictable daily patterns, perpetual futures are informationally efficient at intraday frequencies, with any predictive structure too weak and transient to survive high-frequency arbitrage and the implementation frictions of derivatives trading.

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Publication Details

Journal
Journal of Chinese Economic and Business Studies
Published
2026-10-29
DOI
https://doi.org/10.1080/14765284.2026.2753973
Primary Topic
Financial Markets and Investment Strategies
Type
article
Field-Weighted Citation Impact
0.00
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article

Intraday return predictability in cryptocurrency perpetual futures

Yinze Ji, Yi Cao, Yi Zhu, Jiahao Zhang et al.
Journal of Chinese Economic and Business Studies
Financial Markets and Investment Strategies
article

Intraday return predictability in cryptocurrency perpetual futures

Yinze Ji, Yi Cao, Yi Zhu, Jiahao Zhang, Zizhao Wang
article en

Abstract

R2 Cryptocurrency perpetual futures account for 93% of cryptocurrency trading volume, with daily turnover exceeding $100 billion, yet their intraday return predictability remains unexplored: a notable gap given extensive evidence of predictable daily returns in spot markets. We investigate whether this inefficiency extends to perpetual futures at 1-, 4-, and 8-hour horizons using a broad set of machine learning methods. Out-of-sample R2 statistics are uniformly negative: neither linear models nor flexible nonlinear methods outperform a historical-mean benchmark. Trading strategies based on model forecasts underperform passive buy-and-hold, and once realistic transaction costs are incorporated, virtually all active strategies deliver negative risk-adjusted returns. These results suggest a resolution to the cryptocurrency efficiency puzzle: while spot markets display predictable daily patterns, perpetual futures are informationally efficient at intraday frequencies, with any predictive structure too weak and transient to survive high-frequency arbitrage and the implementation frictions of derivatives trading.

Journal of Chinese Economic and Business Studies
Xi’an Jiaotong-Liverpool University (CN)
Openalex Percentile: Top 9%
Financial Markets and Investment Strategies
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Intraday return predictability in cryptocurrency perpetual futures — Yinze Ji, Yi Cao, et al. · Journal of Chinese Economic and Business Studies (2026) | TGRS Research Map | TGRS